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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Regional studies"
~language:"eng"
~language:"nld"
~language:"pol"
~person:"Aït-Sahalia, Yacine"
~person:"Cavaliere, Giuseppe"
~subject:"Einheitswurzeltest"
~subject:"Großbritannien"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Government document"
~type_genre:"Graue Literatur"
~type_genre:"No longer published / No longer aquired"
~type_genre:"Textbook"
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Einheitswurzeltest
Großbritannien
Volatility
Zeitreihenanalyse
Volatilität
17
Theorie
15
Theory
15
Estimation theory
11
Schätztheorie
11
Time series analysis
9
Bootstrap approach
7
Bootstrap-Verfahren
7
Estimation
6
Schätzung
6
CAPM
5
Market microstructure
4
Marktmikrostruktur
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Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Bootstrap
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Capital income
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Jumps
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Kapitaleinkommen
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Statistical test
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Statistischer Test
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Cointegration
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Factor analysis
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Faktorenanalyse
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Fractional integration
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Kointegration
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Market microstructure noise
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Nichtparametrisches Verfahren
2
Noise Trading
2
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24
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Amtliche Publikation
Article in journal
Government document
Graue Literatur
No longer published / No longer aquired
Textbook
Aufsatz in Zeitschrift
24
Language
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Polish
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Aït-Sahalia, Yacine
Cavaliere, Giuseppe
Phillips, Peter C. B.
30
Taylor, Robert
28
Bollerslev, Tim
20
Todorov, Viktor
18
Linton, Oliver
16
Tauchen, George Eugene
16
Park, Joon Y.
14
Andersen, Torben
12
Leybourne, Stephen James
12
Koop, Gary
11
Robinson, Peter M.
11
Xiao, Zhijie
11
Chen, Xiaohong
10
Ghysels, Eric
10
Hallin, Marc
10
Swanson, Norman R.
10
Yu, Jun
10
Chang, Yoosoon
9
Francq, Christian
9
Gao, Jiti
9
Gouriéroux, Christian
9
McAleer, Michael
9
Mykland, Per A.
9
Patton, Andrew J.
9
Perron, Pierre
9
Pesaran, M. Hashem
9
Xiu, Dacheng
9
Zakoïan, Jean-Michel
9
Elliott, Graham
8
Green, Anne E.
8
Harvey, David I.
8
Koopman, Siem Jan
8
Li, Jia
8
Marcellino, Massimiliano
8
Meddahi, Nour
8
Shephard, Neil G.
8
Teräsvirta, Timo
8
Benth, Fred Espen
7
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International journal of theoretical and applied finance
Journal of econometrics
Regional studies
Working paper / National Bureau of Economic Research, Inc.
9
Discussion papers / Department of Economics, University of Copenhagen
8
Econometric theory
8
Econometric reviews
6
CREATES research paper
5
Journal of financial economics
3
Discussion paper / Tinbergen Institute
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of the American Statistical Association : JASA
2
Queen's Economics Department working paper
2
The econometrics journal
2
CEA_372Cass working paper series
1
Cowles Foundation discussion paper
1
Discussion paper / Deutsche Bundesbank
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada
1
Finance and economics discussion series
1
IMF working paper
1
Journal of applied econometrics
1
Journal of economic literature
1
Journal of international economics
1
NBER working paper series
1
Oxford bulletin of economics and statistics
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
Research paper series / Swiss Finance Institute
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
Swiss Finance Institute Research Paper
1
Technical working paper / National Bureau of Economic Research
1
The economic journal : the journal of the Royal Economic Society
1
The review of financial studies
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ECONIS (ZBW)
24
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1
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
4
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
5
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
6
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
7
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
8
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
9
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
10
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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